Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."
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Other versions of this item:
- George M. Constantinides & Thaleia Zariphopoulou, 2001. "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 331-346, July.
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- Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
- John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
- Constantinides, George M. & Perrakis, Stylianos, 2002.
"Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs,"
Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1323-1352, July.
- George M. Constantinides & Stylianos Perrakis, 2002. "Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs," NBER Working Papers 8867, National Bureau of Economic Research, Inc.
- Virginia R. Young, 2004. "Pricing In An Incomplete Market With An Affine Term Structure," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 359-381, July.
- Donald Brown & Rustam Ibragimov & Johan Walden, 2015. "Bounds for path-dependent options," Annals of Finance, Springer, vol. 11(3), pages 433-451, November.
- George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009.
"Mispricing of S&P 500 Index Options,"
Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1247-1277, March.
- Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005. "Mispricing of S&P 500 index options," CoFE Discussion Papers 05/09, University of Konstanz, Center of Finance and Econometrics (CoFE).
- George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008. "Mispricing of S&P 500 Index Options," NBER Working Papers 14544, National Bureau of Economic Research, Inc.
- Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.
- Johannes Gerer & Gregor Dorfleitner, 2018. "Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions," Review of Derivatives Research, Springer, vol. 21(2), pages 175-199, July.
- Maxim Bichuch, 2014. "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, vol. 18(3), pages 651-694, July.
- Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
- Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005.
"Option pricing: Real and risk-neutral distributions,"
CoFE Discussion Papers
05/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020. "Mispriced index option portfolios," Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
- Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
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